Andrew Kalotay (born 1941) is a Hungarian-born finance

professor Professor (commonly abbreviated as Prof.) is an academic rank at universities and other post-secondary education and research institutions in most countries. Literally, ''professor'' derives from Latin as a "person who professes". Professors ...

, Wall Street quant and chess master. He is best known as an authority on fixed income valuation and institutional debt management. He is currently the President of Andrew Kalotay Associates, and an adjunct professor at

Polytechnic Institute of New York University The New York University Tandon School of Engineering (commonly referred to as Tandon) is the engineering and applied sciences school of New York University. Tandon is the second oldest private engineering and technology school in the United Sta ...

. His innovations include the concept of refunding efficiency — a widely used tool for managing callable debt, the ratchet bond — a surrogate for conventional callable bonds, and the volatility reduction measure — for testing hedge effectiveness. Kalotay has also made numerous contributions to the quantitative analysis of

option-adjusted spread Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence model-de ...

(OAS),

interest rate derivative In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of diff ...

s, and

mortgage-backed securities A mortgage-backed security (MBS) is a type of asset-backed security (an 'instrument') which is secured by a mortgage or collection of mortgages. The mortgages are aggregated and sold to a group of individuals (a government agency or investment ba ...

(MBS); he is an author of the

Kalotay–Williams–Fabozzi model A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,. The short rate Under a sho ...

. In 1997, he was inducted into the Fixed Income Analysts Society's Hall of Fame. Kalotay emigrated to

Canada Canada is a country in North America. Its ten provinces and three territories extend from the Atlantic Ocean to the Pacific Ocean and northward into the Arctic Ocean, covering over , making it the world's second-largest country by tot ...

following the 1956 Hungarian Revolution. He graduated from Queen's University in

Kingston, Ontario Kingston is a city in Ontario, Canada. It is located on the north-eastern end of Lake Ontario, at the beginning of the St. Lawrence River and at the mouth of the Cataraqui River (south end of the Rideau Canal). The city is midway between To ...

, with two degrees in mathematics, earning his

bachelor's degree A bachelor's degree (from Middle Latin ''baccalaureus'') or baccalaureate (from Modern Latin ''baccalaureatus'') is an undergraduate academic degree awarded by colleges and universities upon completion of a course of study lasting three to six ...

in 1964 and his

master's degree A master's degree (from Latin ) is an academic degree awarded by universities or colleges upon completion of a course of study demonstrating mastery or a high-order overview of a specific field of study or area of professional practice.

in 1966. He moved to the

University of Toronto The University of Toronto (UToronto or U of T) is a public university, public research university in Toronto, Ontario, Canada, located on the grounds that surround Queen's Park (Toronto), Queen's Park. It was founded by royal charter in 1827 ...

, and completed his

doctorate A doctorate (from Latin ''docere'', "to teach"), doctor's degree (from Latin ''doctor'', "teacher"), or doctoral degree is an academic degree awarded by universities and some other educational institutions, derived from the ancient formalism ''li ...

in statistics there in 1968. He then moved to the

United States The United States of America (U.S.A. or USA), commonly known as the United States (U.S. or US) or America, is a country primarily located in North America. It consists of 50 states, a federal district, five major unincorporated territori ...

, and has lived there since, to pursue his professional career. Before founding Andrew Kalotay Associates, he was Director in the Bond Portfolio Analysis Group at

Salomon Brothers Salomon Brothers, Inc., was an American multinational bulge bracket investment bank headquartered in New York. It was one of the five largest investment banking enterprises in the United States and the most profitable firm on Wall Street durin ...

, and Senior Analyst at

Dillon Read Dillon, Read & Co. was an investment bank based in New York City. In 1991, it was acquired by Barings Bank and, in 1997, it was acquired by Swiss Bank Corporation, which was in turn acquired by UBS in 1998. History Carpenter & Vermilye Dillon Rea ...

. Before coming to Wall Street, he supervised financial planning at

AT&T AT&T Inc. is an American multinational telecommunications holding company headquartered at Whitacre Tower in Downtown Dallas, Texas. It is the world's largest telecommunications company by revenue and the third largest provider of mobile te ...

and was involved with

operations research Operations research ( en-GB, operational research) (U.S. Air Force Specialty Code: Operations Analysis), often shortened to the initialism OR, is a discipline that deals with the development and application of analytical methods to improve decis ...

and systems engineering at

Bell Laboratories Nokia Bell Labs, originally named Bell Telephone Laboratories (1925–1984), then AT&T Bell Laboratories (1984–1996) and Bell Labs Innovations (1996–2007), is an American industrial research and scientific development company owned by mult ...

. He has been a professor of finance at Fordham University, as well as an adjunct professor at the

Wharton School The Wharton School of the University of Pennsylvania ( ; also known as Wharton Business School, the Wharton School, Penn Wharton, and Wharton) is the business school of the University of Pennsylvania, a private Ivy League research university in P ...

of the

University of Pennsylvania The University of Pennsylvania (also known as Penn or UPenn) is a private research university in Philadelphia. It is the fourth-oldest institution of higher education in the United States and is ranked among the highest-regarded universitie ...

and at

Columbia University Columbia University (also known as Columbia, and officially as Columbia University in the City of New York) is a private research university in New York City. Established in 1754 as King's College on the grounds of Trinity Church in Manhatt ...

. His first major Canadian chess event was the 1958 Canadian Open Chess Championship in

Winnipeg Winnipeg () is the capital and largest city of the province of Manitoba in Canada. It is centred on the confluence of the Red and Assiniboine rivers, near the longitudinal centre of North America. , Winnipeg had a city population of 749, ...

. He scored 5.5/11 at the

Canadian Chess Championship This is the list of all the winners of the Canadian Chess Championship, often referred to as the Canadian Closed Championship to distinguish it from the annual Canadian Open tournament. The winner of the Canadian Closed advances to the World Cup s ...

, Brockville, Ontario 1961. Kalotay represented Queen's in interuniversity chess competition, captaining the school's 1963 Canadian championship team. He finished with 8/15 in the

1963; the event had Canada's top 16 players. He represented Canada at the 1966

Chess Olympiad The Chess Olympiad is a biennial chess tournament in which teams representing nations of the world compete. FIDE organises the tournament and selects the host nation. Amidst the COVID-19 pandemic, FIDE held an Online Chess Olympiad in 2020 an ...

Havana Havana (; Spanish: ''La Habana'' ) is the capital and largest city of Cuba. The heart of the La Habana Province, Havana is the country's main port and commercial center.

, scoring 4/10 (+2 =4 -4) on the first reserve board. Kalotay has not played competitive chess since the early 1990s; he has since been active in

chess problem A chess problem, also called a chess composition, is a puzzle set by the composer using chess pieces on a chess board, which presents the solver with a particular task. For instance, a position may be given with the instruction that White is to ...

composition, where he has also enjoyed success.The site www.chessbase.com has 44 Kalotay games; the site www.mychess.com has 39 Kalotay games; the site www.olimpbase.org has 10 Kalotay games; and the site www.chessgames.com has 2 Kalotay games; some of these games could be duplicated between sites.

References

External links

Andrew Kalotay AssociatesProfile on kalotay.comAndrew Kalotay at 365Chess.com
{{DEFAULTSORT:Kalotay, Andrew Hungarian chess players Hungarian statisticians Canadian chess players American chess players 1941 births Living people Queen's University at Kingston alumni University of Toronto alumni Scientists from New York City 20th-century American mathematicians 20th-century Hungarian mathematicians 21st-century American mathematicians 21st-century Hungarian mathematicians New York University faculty Financial economists Polytechnic Institute of New York University faculty Mathematicians from New York (state)